Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0726 |
| Annualized Std Dev | 0.1611 |
| Annualized Sharpe (Rf=0%) | 0.4504 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5174.0000 |
| NAs | 1.0000 |
| Minimum | -0.1006 |
| Quartile 1 | -0.0044 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0894 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0101 |
| Skewness | -0.3413 |
| Kurtosis | 10.7620 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4410 |
| Historical VaR (95%) | -0.0150 |
| Historical ES (95%) | -0.0243 |
| Modified VaR (95%) | -0.0151 |
| Modified ES (95%) | -0.0267 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2011-03-30 | -0.4410 | 832 | 312 | 520 |
| 2020-02-21 | 2020-03-23 | 2020-07-29 | -0.3319 | 111 | 22 | 89 |
| 2002-05-03 | 2003-03-10 | 2004-01-26 | -0.2559 | 436 | 214 | 222 |
| 2018-01-25 | 2018-12-24 | 2019-12-06 | -0.2172 | 471 | 231 | 240 |
| 2011-07-08 | 2011-08-10 | 2012-02-07 | -0.1322 | 148 | 24 | 124 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | 0.2 | 2.1 | 0.3 | -0.2 | 0.7 | -0.9 | 0.5 | 2.8 |
| 2001 | 1.8 | -0.4 | 1.1 | 2.7 | 0.4 | -0.6 | -0.8 | -0.2 | -0.9 | 1.7 | 0.4 | -0.4 | 5 |
| 2002 | 0.5 | 1.8 | -0.4 | 1.5 | 1 | 0 | -0.5 | 0.6 | 2.8 | 1.4 | -1.2 | -0.5 | 7 |
| 2003 | 1.2 | 0.1 | 0.2 | 0.3 | 1.8 | 0.8 | -1.1 | 0.2 | 1.6 | 0 | 0.6 | -0.4 | 5.4 |
| 2004 | 0.1 | 0.9 | 1 | 0.4 | 0.5 | -0.6 | 0.1 | 0.8 | 1.1 | 0.2 | 1.2 | -0.3 | 5.6 |
| 2005 | 0.2 | 0.8 | -0.7 | 0.3 | 0.6 | 0.1 | -0.3 | -0.6 | 0.3 | -0.5 | 0.8 | -0.5 | 0.5 |
| 2006 | 0.2 | 0.2 | -0.6 | -0.2 | 0.7 | 0 | -0.6 | 0.4 | -0.4 | -0.4 | -0.5 | -0.5 | -1.5 |
| 2007 | 0.7 | -0.1 | 0 | -0.6 | 0.2 | -0.2 | 1 | 1.2 | 0.8 | -2.9 | 0.7 | -0.9 | 0 |
| 2008 | 1.3 | -2 | 2 | 0.6 | 0.1 | 0.1 | 0.2 | -1 | 1.1 | -0.1 | -5.7 | 0.7 | -2.8 |
| 2009 | -3.6 | -0.8 | 1.7 | 0.1 | 2.2 | 1.6 | 0.3 | -1.5 | -1.7 | -1.8 | 1.4 | -1.1 | -3.2 |
| 2010 | 0.8 | 1 | 0.7 | -0.9 | -0.8 | 0.3 | 0.2 | 2 | 0.2 | -0.1 | 1.9 | 0 | 5.2 |
| 2011 | 0.6 | -1 | 0.7 | 0.2 | -1.5 | 1.1 | -0.3 | -0.7 | -1.7 | -2.3 | -0.4 | -0.3 | -5.5 |
| 2012 | 0.7 | 0.3 | 0.4 | 0.3 | -2.3 | 1.7 | -0.8 | 0.2 | 0.6 | 0.8 | 0 | 1.2 | 3.3 |
| 2013 | 0.6 | 0.2 | -0.4 | -0.6 | -1.7 | 0.9 | 1.4 | -0.3 | 0.5 | 0.2 | 0.1 | 0.1 | 1 |
| 2014 | -0.7 | 0.3 | 0.5 | -0.1 | 0.3 | 0.5 | 0.4 | 0.2 | -0.6 | 0.8 | -0.8 | -1 | -0.1 |
| 2015 | -1.9 | 0.2 | -0.2 | 0.9 | 0 | 1.2 | 0 | -2.5 | 0 | -0.5 | 0.8 | -0.9 | -3 |
| 2016 | 0.1 | 1.4 | 0.9 | 0 | 0.3 | 0.1 | -0.1 | 0 | 0.9 | -0.6 | -0.5 | -0.5 | 2 |
| 2017 | -0.4 | 0.8 | -0.2 | -0.5 | 0.8 | 0.8 | -0.3 | 0.6 | 0.1 | 0 | 0.2 | -0.1 | 1.6 |
| 2018 | -0.6 | -0.7 | 1.1 | -0.6 | 0.5 | 0.2 | -1 | -0.1 | 0.2 | 0.9 | 0.8 | 0.2 | 0.9 |
| 2019 | -0.2 | 0.2 | 0.3 | -1.2 | -1.5 | 0.6 | -1 | 0 | -0.6 | 0.3 | -0.2 | 0.1 | -3.1 |
| 2020 | -1.1 | -1.3 | -3.2 | -2.3 | 1.5 | 0.3 | -0.4 | -0.5 | 1.4 | -1.4 | 1.1 | 0.6 | -5.4 |
| 2021 | 1.9 | 2.5 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
